Resumen de Dimensiones financieras del mercado de la vivienda
This thesis examines the role of investors in the housing and mortgage markets in the years following the Global Financial Crisis of 2007-2009. Chapter 1 studies the e§ects of a new class of investors on the dynamics of housing a§ordability, post-crisis.
Processing 85 million housing transactions and using a novel instrumental variable, I Önd that investorsípresence increases the price-to-income ratio, especially in the lowest pricetier. Investors cause a medium-run positive response of construction and a short-run reduction in vacancies. These equilibrium e§ects mitigate the impact on a§ordability. In highly inelastic areas investors a§ect prices more than rents, whereas in highly elastic areas investors have the opposite e§ect.
Chapter 2 studies how investors in housing markets changed post-crisis and the consequences for markets and the economy. I document several new facts: Institutional investors have replaced individual investors, but small size investors dominate among these new investors. Most new investors are less likely to sell the properties in the short-term in response to capital gains. Their investment portfolio has a strong local bias and is driven by search for yield. The arrival of buy-and-hold investors is related to substantially lower price momentum. It is also related to reduced housing stock and time on the market for houses.
Chapter 3 studies how institutional investors in mortgage markets would absorb mortgage credit risk. The identiÖcation exploits Hurricanes Harvey and Irma and the Credit Risk Transfers (CRT) issued by the GSEs. CRTs are structured securities to transfer some of their credit risk to private investors. CRTs di§er in the geographical and loan-to-value composition of their reference pool. These heterogeneities generate di§erences in exposure to hurricane-a§ected areas and to expectations of mortgage defaults. I Önd signiÖcant increases in the price of credit risk right after the hurricanesílandfall. I use these results to estimate a model of credit risk and evaluate how mortgage markets without government guarantees of the GSEs would fare over the housing boom-bust cycle.
